Question
50. A) Determine the YTM (measured as an APR) of a 11 year, 6.7% coupon bond, with semi-annual coupons, which is currently selling at par
50. A) Determine the YTM (measured as an APR) of a 11 year, 6.7% coupon bond, with semi-annual coupons, which is currently selling at par (i.e. it has a quoted price of 100:00). HINT: There is a quick way to do this. Enter your answer as a PERCENTAGE, not as a decimal, using at least 4 digits of precision.
B) The US Treasury yield curve for the first 36 months has the following YTMs (each YTM is measured as an EAR):
- A 6-month YTM of 3.04%.
- A 1-year YTM of 3.31%.
- An 18-month YTM of 3.49%.
- A 24-month YTM of 3.91%.
- A 30-month YTM of 4.37%.
- A 3-year YTM of 4.52%.
All YTMs come from US Treasury, zero-coupon bonds.
Determine the corresponding no-arbitrage price for a 2-year, 3% (coupon rate), semi-annual US Treasury coupon bond with a face value of $1000.
Express your answer in dollars and cents.
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